A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Cites Work

The pricing of options and corporate liabilities
Spectral Methods
Spectral Methods
Bi-CGSTAB: A Fast and Smoothly Converging Variant of Bi-CG for the Solution of Nonsymmetric Linear Systems
Title not available (Why is that?)
A spectral element method for fluid dynamics: Laminar flow in a channel expansion
Some mathematical results in the pricing of American options
Implicit-explicit numerical schemes for jump-diffusion processes
Construction of curvilinear co-ordinate systems and applications to mesh generation
A spectral element method to price European options. I. Single asset with and without jump diffusion

Cited In (10)

An averaged vector field Legendre spectral element method for the nonlinear Schrödinger equation
Efficient Spectral-Galerkin Method for Pricing Asian Options
A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
Title not available (Why is that?)
A spectral element method using the modal basis and its application in solving second‐order nonlinear partial differential equations
A Legendre spectral element method on a large spatial domain to solve the predator-prey system modeling interacting populations
Robust spectral method for numerical valuation of European options under Merton's jump-diffusion model
A spectral element approximation to price European options with one asset and stochastic volatility
Spectral element method for parabolic initial value problem with non-smooth data: analysis and application
A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

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